Annualized quarterly coupons of 5.55% per annum, subject to the accrual provision

„

Protection from the first 30% of any losses in the reference asset, subject to the credit risk of HSBC USA Inc.

The Buffered Accrual Securities (each a
“security” and collectively the “securities") offered hereunder will not be listed on any U.S. securities
exchange or automated quotation system.

Neither the U.S. Securities and Exchange
Commission ( the “SEC”) nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this document, the accompanying underlying supplement, prospectus or prospectus supplement.
Any representation to the contrary is a criminal offense. We have appointed HSBC Securities (USA) Inc., an affiliate of ours, as
the agent for the sale of the securities. HSBC Securities (USA) Inc. will purchase the securities from us for distribution to other
registered broker-dealers or will offer the securities directly to investors. In addition, HSBC Securities (USA) Inc. or another
of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making transactions
in any securities after their initial sale. Unless we or our agent informs you otherwise in the confirmation of sale, the pricing
supplement to which this free writing prospectus relates is being used in a market-making transaction. See “Supplemental
Plan of Distribution (Conflicts of Interest)” on page FWP-12 of this free writing prospectus.

Investment in the securities involves
certain risks. You should refer to “Risk Factors” beginning on page FWP-8 of this document, page S-3 of the accompanying
prospectus supplement and page S-1 of the accompanying Equity Index Underlying Supplement.

Price to Public

Fees and Commissions1

Proceeds to Issuer

Per security

$1,000

Total

1
HSBC USA Inc. or one of our affiliates may pay varying discounts of up to 3.00% per $1,000 Principal Amount of securities in connection
with the distribution of the securities to other registered broker-dealers. See “Supplemental Plan of Distribution (Conflicts
of Interest)” on page FWP-12 of this free writing prospectus.

The securities:

Are Not FDIC Insured

Are Not Bank Guaranteed

May Lose Value

Indicative Terms*

Principal Amount

$1,000 per security

Reference Asset

The S&P BRIC 40 Index(“SBR”) (Ticker: SBR)

Coupon

With respect to each Coupon Payment Date, for each $1,000 Principal Amount of securities, the Coupon will equal: $1,000 × the Coupon Rate applicable to such Coupon Payment Date, divided by four.

Coupon Rate (paid quarterly)

With respect to each Coupon Period, a rate, per annum, calculated as follows:

5.55% ×

Variable Days

, where

Scheduled Trading Days

“Variable Days” is the actual number of scheduled trading days during such Coupon Period on which the Accrual Provision is satisfied, and “Scheduled Trading Days” means the actual number of scheduled trading days in the Coupon Period. †

Buffer Level

-30%

Payment at Maturity per security

If the Reference Return is greater than or equal
to the Buffer Level:

$1,000 (zero return).

If the Reference Return is less than the Buffer
Level:

$1,000 + [$1,000 × (Reference Return + 30%)].

For example, if the Reference Return is -40%, you will suffer
a 10% loss and receive 90% of the Principal Amount. If the Reference Return is less than the Buffer Level, you may lose up to 70%
of your investment.

Reference Return

Final Level – Initial Level

Initial Level

Accrual Provision

For each Coupon Period, the Accrual Provision shall be deemed to have been satisfied on each scheduled trading day during such Coupon Period on which the Official Closing Level of the Reference Asset is greater than or equal to the Coupon Barrier Level. If the Official Closing Level relating to a scheduled trading day is less than the Coupon Barrier Level, the Accrual Provision shall be deemed not to have been satisfied for such scheduled trading day.

Coupon Barrier Level

70% of the Initial Level

Coupon Periods, Coupon Valuation Dates†† and Coupon Payment Dates†††

See page FWP-5

Initial Level

See page FWP-5

Final Level

See page FWP-5

Pricing Date

March 30, 2012

Trade Date

March 30, 2012

Settlement Date

April 4, 2012

Final Valuation Date††

April 2, 2018

Maturity Date†††

April 5, 2018

CUSIP

4042K1D42

* As more fully described on page
FWP-4.

† Subject to adjustment
as described under “Observation Periods” in the accompanying Equity Index Underlying Supplement.

†† Subject to adjustment
as described under “Valuation Dates” in the accompanying Equity Index Underlying Supplement.

††† Subject
to adjustment as described under “Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying
Equity Index Underlying Supplement.

The Securities

The
securities are designed for investors who seek Coupon payments that accrue based on the performance of the Reference Asset, while
seeking return of principal at maturity if the Reference Return is greater than or equal to the Buffer Level. For each Coupon
Period, interest will accrue only on scheduled trading days with respect to which the Official Closing Level of the Reference
Asset is greater than or equal to the Coupon Barrier Level.

If the
Reference Return is below the Buffer Level, the securities provide 1:1 exposure to the decline in the Reference Asset beyond -30%.
If you lose some or a substantial portion of your initial investment, even with any Coupon payments, your yield on an investment
in the securities may be negative.

The
offering period for the securities is through March 30, 2012

FWP-2

Payoff Example

The table at right shows the hypothetical
payout profile of an investment in the securities reflecting the Buffer Level of -30%.

Your total payment on the securities will
depend on how frequently the Accrual Provision is satisfied. You will receive your quarterly Coupons on each Coupon Payment Date.
If you lose some or a substantial portion of your initial investment, even with any Coupon payments, your yield on an investment
in the securities may be negative.

Information about the Reference
Asset

S&P BRIC 40 Index

The SBR is designed to provide exposure to 40 companies from the emerging markets of Brazil, Russia, India and China through liquid stocks trading on developed market exchanges (specifically, the Hong Kong Stock Exchange, the London Stock Exchange, Nasdaq and NYSE Euronext). The SBR employs a modified market capitalization weighting scheme for its composite stocks. All constituent companies must be members of the S&P/IFC Investable (S&P/IFCI) index series for Brazil, Russia, India and China. The S&P/IFCI indices attempt to measure the returns of emerging market stocks that are legally and practically available to foreign investors.

The graph above illustrates the daily 5-yr performance of the
Reference Asset through March 27, 2012. The closing levels in the graph above were obtained from Bloomberg Professional®
Service. Past performance is not necessarily an indication of future results. For further information on the Reference
Asset please see “The S&P BRIC 40 Index” on page FWP-12 and in the accompanying Equity Index Underlying Supplement.
We have derived all disclosure regarding the Reference Asset from publicly available information. Neither HSBC USA Inc. or any
of its affiliates assumes any responsibilities for the adequacy or accuracy of information about the Reference Asset.

FWP-3

HSBC
USA Inc.

Buffered
Accrual Securities

Linked
to the S&P BRIC 40 Index

The offering of securities
will have the terms described in this free writing prospectus and the accompanying prospectus supplement, prospectus and underlying
supplement. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus
supplement, prospectus or underlying supplement, the terms described in this free writing prospectus shall control. You should be willing to forgo dividend payments during the term of the securities and, if the Reference Return is negative,
lose up to 70% of your principal.

This free writing prospectus
relates to an offering of securities linked to the performance of the S&P BRIC 40 Index (the “Reference Asset”).
The purchaser of a security will acquire a senior unsecured debt security of HSBC USA Inc. linked to the Reference Asset as described
below. The following key terms relate to the offering of securities:

Issuer:

HSBC USA Inc.

Issuer Rating:

A+ (S&P), A1 (Moody’s), AA (Fitch)†

Principal Amount:

$1,000 per security

Reference Asset:

The S&P BRIC 40 Index (Ticker: SBR)

Trade Date:

March 30, 2012

Pricing Date:

March 30, 2012

Original Issue Date:

April 4, 2012

Final Valuation Date:

April 2, 2018. The Final Valuation Date is subject to adjustment as described under “Valuation Dates” in the accompanying Equity Index Underlying Supplement.

Maturity Date:

3 business days after the Final Valuation Date and is expected to be April 5, 2018. The Maturity Date is subject to adjustment as described under “Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying Supplement.

Coupon:

With respect to each Coupon Payment Date, for each $1,000 Principal Amount of securities, the Coupon will equal: $1,000 × the Coupon Rate applicable to such Coupon Payment Date, divided by four.

Coupon Rate (paid quarterly):

With respect to each Coupon Period, a rate per annum, calculated
as follows:

5.55% ×

Variable Days

, where

Scheduled Trading Days

“Variable Days” is the actual number of scheduled trading days during such Coupon Period on which the Accrual Provision is satisfied, and “Scheduled Trading Days” means the actual number of scheduled trading days in the Coupon Period, subject to adjustment as described under “Observation Periods” in the accompanying Equity Index Underlying Supplement.

Payment at Maturity:

On the Maturity Date, for each security, we will pay you the Final Settlement Value (plus any Coupon payment).

Final Settlement Value:

If the Reference Return is greater than or equal to the
Buffer Level, you will receive $1,000 per $1,000 Principal Amount of securities (zero return).

If the Reference Return is less than the Buffer Level,you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated as follows:

$1,000 + [$1,000 × (Reference Return + 30%)].
Under these circumstances, you will lose 1% of the Principal Amount of your securities for each percentage point that the Reference
Return is below the Buffer Level. For example, if the Reference Return is -40%, you will suffer a 10% loss and receive 90% of the
Principal Amount. If the Reference Return is less than the Buffer Level, you may lose up to 70% of your investment.

Reference Return:

The quotient, expressed as a percentage, calculated as follows:

Final Level – Initial Level

Initial Level

Buffer Level:

-30%

Accrual Provision:

For each Coupon Period, the Accrual Provision shall
be deemed to have been satisfied on each scheduled trading day during such Coupon Period on which the Official Closing Level of
the Reference Asset is greater than or equal to the Coupon Barrier Level. If the Official Closing Level relating to a scheduled
trading day is less than the Coupon Barrier Level, the Accrual Provision shall be deemed not to have been satisfied for such scheduled
trading day.

FWP-4

Coupon Barrier Level:

70% of the Initial Level

Coupon Period, Coupon Valuation Dates and Coupon Payment Dates:

The “Coupon Period” is the period beginning on and including the Original Issue Date and ending on and including the first Coupon Valuation Date and each successive period beginning on but excluding a Coupon Valuation Date and ending on and including the next succeeding Coupon Valuation Date.

Coupon Period

Start Date

Coupon Valuation Date*

Coupon Payment Date**

Scheduled Trading Days***

1

April 2, 2012

June 29, 2012

July 5, 2012

63

2

July 2, 2012

October 2, 2012

October 5, 2012

65

3

October 3, 2012

January 2, 2013

January 7, 2013

63

4

January 3, 2013

April 2, 2013

April 5, 2013

61

5

April 3, 2013

July 1, 2013

July 5, 2013

63

6

July 2, 2013

October 2, 2013

October 7, 2013

65

7

October 3, 2013

December 31, 2013

January 6, 2014

62

8

January 2, 2014

April 2, 2014

April 7, 2014

63

9

April 3, 2014

July 1, 2014

July 7, 2014

62

10

July 2, 2014

October 1, 2014

October 6, 2014

64

11

October 2, 2014

December 30, 2014

January 5, 2015

62

12

December 31, 2014

March 31, 2015

April 6, 2015

62

13

April 1, 2015

June 30, 2015

July 6, 2015

63

14

July 1, 2015

September 30, 2015

October 5, 2015

64

15

October 1, 2015

December 30, 2015

January 5, 2016

63

16

December 31, 2015

March 31, 2016

April 5, 2016

62

17

April 1, 2016

June 29, 2016

July 5, 2016

63

18

June 30, 2016

September 30, 2016

October 5, 2016

65

19

October 3, 2016

December 30, 2016

January 5, 2017

63

20

January 3, 2017

March 31, 2017

April 5, 2017

62

21

April 3, 2017

June 29, 2017

July 5, 2017

62

22

June 30, 2017

October 2, 2017

October 5, 2017

65

23

October 3, 2017

January 2, 2018

January 5, 2018

63

24 (final Coupon Period)

January 3, 2018

April 2, 2018 (Final Valuation Date)

April 5, 2018 (Maturity Date)

61

* The Coupon
Valuation Dates are subject to adjustment as described under “Coupon Payment Dates, Call Payment Dates and Maturity
Date” in the accompanying Equity Index Underlying Supplement.

** Expected.
3 business days after the relevant Coupon Valuation Date. The Coupon Payment Dates are subject to postponement as described
under “Coupon Payment Dates, Call Payment Dates and Maturity Date” in the accompanying Equity Index Underlying
Supplement .

***Subject
to adjustment if the number of scheduled trading days is reduced due to a scheduled holiday or other event in any Coupon
Period as described under “Observation Periods” in the accompanying Equity Index Underlying Supplement.

Initial Level:

The Official Closing Level of the Reference Asset on the Pricing Date.

Final Level:

The Official Closing Level of the Reference Asset on the Final Valuation Date.

Official Closing Level:

The closing level of the Reference Asset on any scheduled trading day as
determined by the calculation agent based upon the level displayed on Bloomberg Professional®
service page “SBR <INDEX>”, or on any successor page on Bloomberg Professional®
service or any successor service, as applicable.

Form of securities:

Book-Entry

Listing:

The securities will not be listed on any U.S. securities exchange or quotation system.

CUSIP / ISIN:

4042K1D42 /

† A credit rating
reflects the creditworthiness of HSBC USA Inc. and is not a recommendation to buy, sell or hold securities, and it may be subject
to revision or withdrawal at any time by the assigning rating organization. The securities themselves have not been independently
rated. Each rating should be evaluated independently of any other rating.

FWP-5

GENERAL

This free writing prospectus relates to
an offering of securities linked to the Reference Asset identified on the cover page. The purchaser of a security will acquire
a senior unsecured debt security of HSBC USA Inc. linked to the Reference Asset. We reserve the right to withdraw, cancel or modify
any offering and to reject orders in whole or in part. Although the offering of securities relates to the Reference Asset identified
on the cover page, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to
the Reference Asset or any component security included in the Reference Asset or as to the suitability of an investment in the
securities.

You should read this document together
with the prospectus dated March 22, 2012, the prospectus supplement dated March 22, 2012 and the Equity Index Underlying Supplement
dated March 22, 2012. If the terms of the securities offered hereby are inconsistent with those described in the accompanying prospectus
supplement, prospectus or underlying supplement, the terms described in this free writing prospectus shall control. You should
carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page FWP-8 of this free
writing prospectus, page S-3 of the prospectus supplement and page S-1 of the Equity Index Underlying Supplement, as the securities
involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisors before you invest in the securities. As used herein, references to the “Issuer”, “HSBC”,
“we”, “us” and “our” are to HSBC USA Inc.

HSBC has filed a registration statement
(including a prospectus, a prospectus supplement and Equity Index Underlying Supplement) with the SEC for the offering to which
this free writing prospectus relates. Before you invest, you should read the prospectus, prospectus supplement and Equity Index
Underlying Supplement in that registration statement and other documents HSBC has filed with the SEC for more complete information
about HSBC and this offering. You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov.
Alternatively, HSBC Securities (USA) Inc. or any dealer participating in this offering will arrange to send you the prospectus,
prospectus supplement and underlying supplement if you request them by calling toll-free 1-866-811-8049.

We are using this free writing prospectus
to solicit from you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior
to the time at which we accept your offer by notifying HSBC Securities (USA) Inc. We reserve the right to change the terms of,
or reject any offer to purchase, the securities prior to their issuance. In the event of any material changes to the terms of the
securities, we will notify you.

PAYMENT AT MATURITY

On the Maturity Date, for each security
you hold, we will pay you the Final Settlement Value (plus any Coupon payment), which is an amount in cash, as described below:

If the Reference Return is greater than
or equal to the Buffer Level, you will receive $1,000 per $1,000 Principal Amount of securities (zero return).

If the Reference Return is less than
the Buffer Level, you will receive a cash payment on the Maturity Date, per $1,000 Principal Amount of securities, calculated
as follows:

$1,000 + [$1,000 ×
(Reference Return + 30%)].

Under these circumstances, you will lose 1% of the Principal
Amount of your securities for each percentage point that the Reference Return is below the Buffer Level. For example, if the
Reference Return is -40%, you will suffer a 10% loss and receive 90% of the Principal Amount. If the Reference Return is less
than the Buffer Level, you may lose up to 70% of your investment.

COUPON

On each Coupon Payment Date, for each $1,000 Principal Amount
of securities, you will be paid an amount equal to the product of (a) $1,000 multiplied by (b) the Coupon Rate divided by four.
For information regarding the record dates applicable to the Coupons paid on the securities, please see the section entitled “Description
of Notes – Interest and Principal Payments – Recipients of Interest Payments” on page S-11 in the accompanying
prospectus supplement.

With respect to each Coupon Period, the “Coupon Rate”
is a rate, per annum, calculated as follows:

5.55% ×

Variable Days

, where

Scheduled Trading Days

“Variable Days” is the actual number of scheduled
trading days during such Coupon Period on which the Accrual Provision is satisfied, and “Scheduled Trading Days” means
the actual number of scheduled trading days in the Coupon Period, subject to adjustment as described under “Observation Periods”
in the accompanying Equity Index Underlying Supplement.

FWP-6

Calculation Agent

We or one of our affiliates will act as
calculation agent with respect to the securities.

Reference Sponsor

Standard
and Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc., is the reference sponsor.

INVESTOR SUITABILITY

The securities may be suitable for you if:

The securities may not be suitable for you if:

} You
are willing to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage
point that the Reference Return is less than the Buffer Level of -30%.

} You
are willing to invest in the securities based on the fact that your maximum potential return is the Coupon being offered with
respect to your securities, which may equal 0.00% if the Accrual Provision is never satisfied during a Coupon
Period.

} You
are willing to forgo dividends or other distributions paid to holders of stocks comprising the Reference Asset.

} You
do not seek an investment for which there is an active secondary market.

} You
are willing to hold the securities to maturity.

} You
are comfortable with the creditworthiness of HSBC, as Issuer of the securities.

} You
are unwilling to make an investment that is exposed to the negative Reference Return on a 1-to-1 basis for each percentage
point that the Reference Return is below the Buffer Level of -30%.

} You
are unwilling to invest in the securities based on the fact that your maximum potential return is the Coupon being offered
with respect to your securities, which may equal 0.00% if the Accrual Provision is never satisfied during a Coupon
Period.

} You
seek an investment that provides full return of principal.

} You
prefer the lower risk, and therefore accept the potentially lower returns, of conventional debt securities with comparable
maturities issued by HSBC or another issuer with a similar credit rating.

} You
prefer to receive the dividends or other distributions paid on any stocks comprising the Reference Asset.

} You
seek an investment for which there will be an active secondary market.

} You
are unable or unwilling to hold the securities to maturity.

} You
are not willing or are unable to assume the credit risk associated with HSBC, as Issuer of the securities.

FWP-7

RISK FACTORS

We urge you to read the section “Risk
Factors” on page S-3 in the accompanying prospectus supplement and on page S-1 of the Equity Index Underlying Supplement.
Investing in the securities is not equivalent to investing directly in any of the stocks comprising the Reference Asset. You should
understand the risks of investing in the securities and should reach an investment decision only after careful consideration, with
your advisors, of the suitability of the securities in light of your particular financial circumstances and the information set
forth in this free writing prospectus and the accompanying underlying supplement, prospectus supplement and prospectus.

In addition to the risks discussed below,
you should review “Risk Factors” in the accompanying prospectus supplement and underlying supplement including the
explanation of risks relating to the securities described in the following sections:

}

“— Risks Relating to All Note Issuances” in the prospectus supplement;

}

“— General risks related to Indices” in the Equity Index Underlying Supplement;

“— Securities Prices Generally are Subject to Political, Economic, Financial, and Social
Factors that Apply to the Markets in which they Trade and to a Lesser Extent, Foreign Markets” in the Equity Index Underlying
Supplement;

}

“— Time Differences Between the Domestic and Foreign Markets and New York City May
Create Discrepancies in the Trading Level or Price of the Notes” in the Equity Index Underlying Supplement;

}

“— The Notes are Subject to Currency Exchange Risk” in the Equity Index Underlying
Supplement; and

}

“— There are Risks Associated with Emerging Markets” in the Equity Index Underlying
Supplement.

You will be subject to significant risks
not associated with conventional fixed-rate or floating-rate debt securities.

Your investment in the securities
may result in a loss.

You will be exposed to any decline in the
Final Level from the Initial Level beyond the Buffer Level of -30%. Accordingly, if the Reference Return is less than -30%, your
Payment at Maturity will be less than the Principal Amount of your securities. You may lose up to 70% of your investment at maturity
if the Reference Return is negative.

You will not participate in any appreciation
in the level of the Reference Asset.

The securities will not pay more than the
Principal Amount, plus any unpaid Coupon payment, at maturity. Even if the Reference Return is greater than zero, you will not
participate in the appreciation of the Reference Asset. Assuming the securities are held to maturity, the maximum amount payable
with respect to the securities will not exceed the sum of the Principal Amount plus any Coupons. Under no circumstances, regardless
of the extent to which the level of the Reference Asset appreciates, will your return exceed the total amount of the Coupons. In
some cases, you may earn significantly less by investing in the securities than you would have earned by investing in an instrument
directly linked to the performance of the Reference Asset.

Credit risk of HSBC USA Inc.

The securities are senior unsecured debt
obligations of the Issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described
in the accompanying prospectus supplement and prospectus, the securities will rank on par with all of the other unsecured and unsubordinated
debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the securities,
including Coupons and any return of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come
due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the securities and, in the event
HSBC were to default on its obligations, you may not receive the amounts owed to you under the terms of the securities.

The securities are not ordinary
debt securities and the Coupon Rate is not fixed but is variable.

The Coupon
Rate paid by us on the securities for each Coupon Period is not fixed but will vary depending on whether the Accrual Provision
is satisfied, and whether such Accrual Provision is satisfied will depend on the daily fluctuations of the Official Closing Level
of the Reference Asset. Consequently, the return on the securities may be less than those otherwise payable on debt issued by us
with similar maturities and may be zero. Although the variable Coupon Rate on the securities is determined, in part, by reference
to the Official Closing Level, the Coupon Rate is linked to 5.55% per annum. You should consider, among other things, the overall
annual percentage rate of interest to maturity as compared to other equivalent investment alternatives.

Changes that affect the Reference
Asset will affect the market value of the securities and the amount you will receive at maturity.

The policies of the reference sponsor concerning
additions, deletions and substitutions of the constituents comprising the Reference Asset and the manner in which the reference
sponsor takes account of certain changes affecting those constituents included in the Reference Asset may affect the level of the
Reference Asset. The policies of the reference sponsor with respect to the calculation of the

FWP-8

Reference Asset could also affect the level
of the Reference Asset. The reference sponsor may discontinue or suspend calculation or dissemination of the Reference Asset. Any
such actions could affect the value of the securities.

The securities are not insured by
any governmental agency of the United States or any other jurisdiction.

The securities are not deposit liabilities
or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency
or program of the United States or any other jurisdiction. An investment in the securities is subject to the credit risk of HSBC,
and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturity
of the securities.

Certain built-in costs are likely
to adversely affect the value of the securities prior to maturity.

While the Payment at Maturity described
in this free writing prospectus is based on the full Principal Amount of your securities, the original issue price of the securities
includes the placement agent’s commission and the estimated cost of HSBC hedging its obligations under the securities. As
a result, the price, if any, at which HSBC Securities (USA) Inc. will be willing to purchase securities from you in secondary market
transactions, if at all, will likely be lower than the original issue price, and any sale prior to the Maturity Date could result
in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be
able and willing to hold your securities to maturity.

The securities lack liquidity.

The securities will not be listed on any
securities exchange. HSBC Securities (USA) Inc. is not required to offer to purchase the securities in the secondary market, if
any exists. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. Because other dealers are not likely to make a secondary market for the securities, the price at which you may be able
to trade your securities is likely to depend on the price, if any, at which HSBC Securities (USA) Inc. is willing to buy the securities.

Potential conflicts.

HSBC and its affiliates play a variety
of roles in connection with the issuance of the securities, including acting as calculation agent and hedging our obligations under
the securities. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially
adverse to your interests as an investor in the securities. We will not have any obligation to consider your interests as a holder
of the securities in taking any action that might affect the value of your securities.

Uncertain tax treatment.

For a discussion of the U.S. federal income
tax consequences of your investment in a security, please see the discussion under “U.S. Federal Income Tax Considerations”
herein and the discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.

FWP-9

ILLUSTRATIVE EXAMPLES

The following table and examples are provided
for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning
increases or decreases in the level of the Reference Asset relative to its Initial Level. We cannot predict the Final Level of
the Reference Asset or the level of the Reference Asset on any scheduled trading day. The assumptions we have made in connection
with the illustrations set forth below may not reflect actual events, and the hypothetical Initial Level used in the table and
examples below is not the actual Initial Level. You should not take this illustration or these examples as an indication or assurance
of the expected performance of the Reference Asset or the return on your securities. With respect to the securities, the
Final Settlement Value plus any Coupons may be less than the amount that you would have received from a conventional debt security
with the same stated maturity, including those issued by HSBC. The numbers appearing in the table below and following examples
have been rounded for ease of analysis.

The table below illustrates the Final Settlement
Value on a $1,000 investment in securities for a hypothetical range of performance for the Reference Return from -100% to +100%
(excluding any Coupons received). The following results are based solely on the assumptions outlined below. The “Hypothetical
Return on the Security” as used below is the number, expressed as a percentage, that results from comparing the Payment at
Maturity per $1,000 Principal Amount of securities to $1,000. The potential returns described here assume that your securities
are held to maturity. You should consider carefully whether the securities are suitable to your investment goals. The following
table and examples assume the following:

}

Principal Amount:

$1,000

}

Hypothetical Initial Level:

2,500.00

}

Buffer Level:

-30%

}

Coupon Barrier Level:

70% of the Initial Level

}

Scheduled Trading Days in final Coupon Period:

61

The actual Initial Level
and Coupon Barrier Level will be determined on the Pricing Date.

Hypothetical

Final Level

Hypothetical Reference Return

Hypothetical

Final Settlement Value

Hypothetical

Return on the Security

5,000.00

100.00%

$1,000.00

0.00%

4,500.00

80.00%

$1,000.00

0.00%

4,000.00

60.00%

$1,000.00

0.00%

3,500.00

40.00%

$1,000.00

0.00%

3,250.00

30.00%

$1,000.00

0.00%

3,000.00

20.00%

$1,000.00

0.00%

2,875.00

15.00%

$1,000.00

0.00%

2,750.00

10.00%

$1,000.00

0.00%

2,625.00

5.00%

$1,000.00

0.00%

2,550.00

2.00%

$1,000.00

0.00%

2,525.00

1.00%

$1,000.00

0.00%

2,500.00

0.00%

$1,000.00

0.00%

2,475.00

-1.00%

$1,000.00

0.00%

2,450.00

-2.00%

$1,000.00

0.00%

2,375.00

-5.00%

$1,000.00

0.00%

2,250.00

-10.00%

$1,000.00

0.00%

2,125.00

-15.00%

$1,000.00

0.00%

2,000.00

-20.00%

$1,000.00

0.00%

1,750.00

-30.00%

$1,000.00

0.00%

1,500.00

-40.00%

$900.00

-10.00%

1,000.00

-60.00%

$700.00

-30.00%

500.00

-80.00%

$500.00

-50.00%

0.00

-100.00%

$300.00

-70.00%

FWP-10

The following examples indicate how the
Final Settlement Value would be calculated with respect to a hypothetical $1,000 investment in the securities.

Example 1: The level of the Reference
Asset increases from the Initial Level of 2,500.00 to a Final Level of 2,750.00. The Official Closing Level of the Reference Asset
is greater than or equal to the Coupon Barrier Level on 40 scheduled trading days during the final Coupon Period.

Reference Return:

10.00%

Coupon Rate:

3.64% per annum

Final Settlement Value:

$1,000.00

Payment at Maturity:

$1,009.10

Because the Reference Return is positive,
the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount of securities (a zero return).

Further, because the Accrual Provision is satisfied
for 40 scheduled trading days, the Coupon Rate for the final Coupon Period is 3.64% per annum, calculated as follows:

5.55% × ( 40 / 61 ) = 3.64% per annum

Therefore, with the final Coupon payment
of $9.10, the total Payment at Maturity is $1,009.10.

Example 1 shows that you will receive the
return of your principal investment plus the final Coupon payment when the Reference Asset appreciates.

Example 2: The level of the Reference
Asset decreases from the Initial Level of 2,500.00 to a Final Level of 2,375.00. The Official Closing Level of the Reference Asset
is greater than or equal to the Coupon Barrier Level on each scheduled trading day during the final Coupon Period.

Reference Return:

-5.00%

Coupon Rate:

5.55% per annum

Final Settlement Value:

$1,000.00

Payment at Maturity:

$1,013.88

Because the Reference Return is less than
zero but greater than the Buffer Level of -30%, the Final Settlement Value would be $1,000.00 per $1,000 Principal Amount of securities
(a zero return).

Further, because the Accrual Provision is satisfied
for 61 scheduled trading days, the Coupon Rate for the final Coupon Period is 5.55% per annum, calculated as follows:

5.55% × ( 61 / 61 ) = 5.55% per annum

Therefore, with the final Coupon payment
of $13.88, the total Payment at Maturity is $1,013.88.

Example 2 shows that you will receive the
return of your principal investment plus the final Coupon payment when the Reference Asset declines but is greater than or equal
to the Buffer Level of -30%.

Example 3: The level of the Reference
Asset decreases from the Initial Level of 2,500.00 to a Final Level of 1,500.00. The Official Closing Level of the Reference Asset
is less than the Coupon Barrier Level on each scheduled trading day during the final Coupon Period.

Reference Return:

-40.00%

Coupon Rate:

0.00% per annum

Final Settlement Value:

$900.00

Payment at Maturity:

$900.00

Because the Reference
Return is less than the Buffer Level of -30%, the Final Settlement Value would be $900.00 per $1,000 Principal Amount of securities,
calculated as follows:

$1,000 + [$1,000
× (Reference Return + 30%)]

= $1,000 +
[$1,000 × (-40.00% + 30%)]

= $900.00

Because the Accrual Provision is never satisfied during
the final Coupon Period, the Coupon Rate for the final Coupon Period is 0.00% per annum, calculated as follows:

5.55% × ( 0 / 61 ) = 0.00% per annum

Example 3 shows that you
are exposed on a 1-to-1 basis to declines in the level of the Reference Asset beyond the Buffer Level of -30%. YOU MAY LOSE UP
TO 70% OF THE PRINCIPAL AMOUNT OF YOUR SECURITIES.

FWP-11

THE S&P BRIC 40 Index

Description of the SBR

The SBR is designed to provide exposure
to 40 companies from the emerging markets of Brazil, Russia, India and China through liquid stocks trading on developed market
exchanges (specifically, the Hong Kong Stock Exchange, the London Stock Exchange, Nasdaq and NYSE Euronext). The SBR employs a
modified market capitalization weighting scheme for its composite stocks. All constituent companies must be members of the S&P/IFC
Investable (S&P/IFCI) index series for Brazil, Russia, India and China. The S&P/IFCI indices attempt to measure the returns
of emerging market stocks that are legally and practically available to foreign investors.

For more information
about the SBR, see “The S&P BRIC 40Index” on page S-53 of the accompanying Equity Index Underlying
Supplement.

Historical Performance of the SBR

The following graph sets forth the historical
performance of the SBR based on the daily historical closing levels from March 27, 2007 through March 27, 2012. The closing level
for the SBR on March 27, 2012 was 2,564.23. We obtained the closing levels below from Bloomberg Professional® service.
We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional®
service.

Historical Period

Official Closing Level of the Reference Asset on March 27, 2012

2,564.23

70% of the Reference Asset on March 27, 2012

1,794.96

Total number of scheduled trading days in the historical period beginning March 28, 2007

1,295

Number of scheduled trading days that the Reference Asset was equal to or greater than 1,794.96

1,146

Number of scheduled trading days that the Reference Asset was less than 1,794.96

149

The historical levels
of the SBR should not be taken as an indication of future performance, and no assurance can be given as to the Official Closing
Level of the SBR.

SUPPLEMENTAL PLAN OF DISTRIBUTION
(CONFLICTS OF INTEREST)

We have appointed HSBC Securities (USA)
Inc., an affiliate of HSBC, as the agent for the sale of the securities. Pursuant to the terms of a distribution agreement, HSBC
Securities (USA) Inc. will purchase the securities from HSBC for distribution to other registered broker-dealers or will offer
the securities directly to investors. HSBC Securities (USA) Inc. proposes to offer the securities at the offering price
set forth on the cover page of this free writing prospectus. HSBC USA Inc. or one of our affiliates may pay varying discounts of
up to 3.00% per $1,000 Principal Amount of securities in connection with the distribution of the securities to other registered
broker-dealers.

In addition, HSBC Securities (USA) Inc.
or another of its affiliates or agents may use the pricing supplement to which this free writing prospectus relates in market-making
transactions after the initial sale of the securities, but is under no obligation to do so and may discontinue any market-making
activities at any time without notice.

See "Supplemental Plan of Distribution
(Conflicts of Interest)” on page S-49 in the prospectus supplement.

FWP-12

U.S. FEDERAL INCOME TAX CONSIDERATIONS

You should carefully consider, among other
things, the matters set forth in the section “U.S. Federal Income Tax Considerations” in the prospectus supplement.
The following discussion summarizes the U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition
of each of the securities. This summary supplements the section “ U.S. Federal Income Tax Considerations” in the prospectus
supplement and supersedes it to the extent inconsistent therewith. Notwithstanding any disclosure in the accompanying prospectus
supplement to the contrary, HSBC’s special U.S. tax counsel in this transaction is Sidley Austin llp.

There are no statutory provisions, regulations,
published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with
terms that are substantially the same as those of the securities. Under one reasonable approach, the securities should be treated
as income-bearing pre-paid derivative contracts with respect to the Reference Asset. HSBC intends to treat the securities consistent
with this approach and, pursuant to the terms of the securities, you agree to treat the securities under this approach for all
U.S. federal income tax purposes. Subject to certain limitations described in the prospectus supplement, and based on certain factual
representations received from HSBC, in the opinion of HSBC’s special U.S. tax counsel, Sidley Austin llp,
it is reasonable to treat the securities in accordance with this approach. Pursuant to this approach, HSBC intends to treat any
gain or loss upon maturity or an earlier sale or exchange as capital gain or loss in an amount equal to the difference between
the amount you receive at such time (other than with respect to a coupon) and your tax basis in the security. Any such gain or
loss will be long-term capital gain or loss if you have held the security for more than one year at such time for U.S. federal
income tax purposes. Your tax basis in a security generally will equal your cost of the security. In addition, the tax treatment
of the coupon is unclear. Although the tax treatment of the coupon is unclear, HSBC intends to treat any coupon paid by HSBC, including
on the Maturity Date, as ordinary income includible in income by you at the time it accrues or is received in accordance with your
normal method of accounting for U.S. federal income tax purposes. See “U.S. Federal Income Tax Considerations — Certain
Equity-Linked Notes — Certain Notes Treated as Forward Contracts or Executory Contracts” in the prospectus supplement
for the U.S. federal income tax considerations applicable to securities that are treated as income-bearing pre-paid derivative
contracts.

Because there are no statutory provisions,
regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities
with terms that are substantially the same as those of the securities, other characterizations and treatments are possible and
the timing and character of income in respect of the securities might differ from the treatment described above. For example, the
securities could be treated as debt instruments that are “contingent payment debt instruments” for U.S. federal income
tax purposes subject to the treatment described under the heading “U.S. Federal Income Tax Considerations — U.S. Federal
Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes — Contingent Payment Debt Instruments”
in the prospectus supplement.

In addition, if you are a non-U.S. Holder
(as defined in the prospectus supplement), because the tax treatment of the coupon is unclear, HSBC intends to withhold an amount
equal to 30% of any coupon payable to you, subject to reduction or elimination by applicable treaty, unless income from such coupon
is effectively connected with your conduct of a trade or business within the United States.

In Notice 2008-2, the Internal Revenue
Service (“IRS”) and the Treasury Department requested comments as to whether the purchaser of an exchange traded note
or pre-paid forward contract (which may include the securities) should be required to accrue income during its term under a mark-to-market,
accrual or other methodology, whether income and gain on such a note or contract should be ordinary or capital, and whether foreign
holders should be subject to withholding tax on any deemed income accrual. Accordingly, it is possible that regulations or other
guidance could provide that a U.S. holder (as defined in the prospectus supplement) of a security is required to accrue income
in respect of the securities prior to the receipt of payments with respect to the securities or their earlier sale. Moreover, it
is possible that any such regulations or other guidance could treat all income and gain of a U.S. holder in respect of the securities
as ordinary income (including gain on a sale). Finally, it is possible that a non-U.S. holder of the securities could be subject
to U.S. withholding tax in respect of the securities. It is unclear whether any regulations or other guidance would apply to the
securities (possibly on a retroactive basis). Prospective investors are urged to consult with their tax advisors regarding Notice
2008-2 and the possible effect to them of the issuance of regulations or other guidance that affects the U.S. federal income tax
treatment of the securities.

PROSPECTIVE PURCHASERS OF SECURITIES SHOULD
CONSULT THEIR TAX ADVISORS AS TO THE U.S. FEDERAL, STATE, LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP
AND DISPOSITION OF SECURITIES.

FWP-13

TABLE OF CONTENTS

You should only rely
on the information contained in this free writing prospectus, any accompanying underlying supplement, prospectus supplement and
prospectus. We have not authorized anyone to provide you with information or to make any representation to you that is not contained
in this free writing prospectus, the accompanying underlying supplement, prospectus supplement and prospectus. If anyone provides
you with different or inconsistent information, you should not rely on it. This free writing prospectus, the accompanying underlying
supplement, prospectus supplement and prospectus are not an offer to sell these securities, and these documents are not soliciting
an offer to buy these securities, in any jurisdiction where the offer or sale is not permitted. You should not, under any circumstances,
assume that the information in this free writing prospectus, the accompanying underlying supplement, prospectus supplement and
prospectus is correct on any date after their respective dates.